cmaes-solver: The Covariance Matrix Adaptation Evolution Strategy (cmaes)...

In parma: Portfolio Allocation and Risk Management Applications

Description

The direct translation of the Hansen's cmaes matlab code v3.60.

Usage

cmaes(pars, fun, lower = rep(0, length(pars)), upper = rep(1, length(pars)), 
insigma = 1, ctrl = cmaes.control(), ...)

cmaes.control(
options = list(StopFitness = -Inf, MaxFunEvals = Inf,
MaxIter = '1e3*(N+5)^2/sqrt(popsize)', StopFunEvals = Inf,
StopIter = Inf, TolX = '1e-11*max(insigma)', TolUpX = '1e3*max(insigma)',
TolFun = 1e-12, TolHistFun = 1e-13, StopOnStagnation = TRUE,
StopOnWarnings = TRUE, StopOnEqualFunctionValues = '2 + N/3',
DiffMaxChange = Inf, DiffMinChange = 0, WarnOnEqualFunctionValues = FALSE,
EvalParallel = FALSE, EvalInitialX = TRUE, Restarts = 0,
IncPopSize = 2, PopSize = '4 + floor(3*log(N))', ParentNumber = 'floor(popsize/2)',
RecombinationWeights = c("superlinear", "linear", "constant"), 
DiagonalOnly = '0*(1+100*N/sqrt(popsize))+(N>=1000)', 
CMA = TRUE, Seed = 'as.integer(Sys.time())', DispFinal = TRUE, 
DispModulo = 100, Warnings = FALSE), 
CMA = list(cs = '(mueff+2)/(N+mueff+3)', 
damps = '1 + 2*max(0,sqrt((mueff-1)/(N+1))-1) + cs',
ccum = '(4 + mueff/N) / (N+4 + 2*mueff/N)', ccov1 = '2 / ((N+1.3)^2+mueff)',
ccovmu = '2 * (mueff-2+1/mueff) / ((N+2)^2+mueff)', active = 0))

Arguments

pars	A numeric vector of starting parameters.
fun	The user function to be minimized.
lower	A vector the lower parameter bounds.
upper	A vector with the upper parameter bounds.
insigma	The initial coordinate wise standard deviations for the search.
ctrl	A list with control parameters as returned from calling the ‘cmaes.control’ function.
...	Additional arguments passed to the user function.
options	The main options in the cmaes.control which may be optionally strings which are evaluated on initialization of the solver.
CMA	The options for the active CMA.

Details

This solver has been translated from the matlab version created by Nikolaus Hansen and available on his website http://www.lri.fr/~hansen/cmaes_inmatlab.html. There is also a cmaes on CRAN but this does not offer the same level of options and flexibility that the matlab version offers. For more details on what the options mean and generally how the cmaes solver works, consult the relevant website and literature.

Author(s)

Alexios Ghalanos

References

Hansen, N. 2006, The CMA Evolution Strategy: A Comparing Review, Towards a New Evolutionary Computation (Studies in Fuzziness and Soft Computing), 192, 75–102.

Examples

## Not run: 
ctrl = cmaes.control()
ctrl$options$StopOnWarnings = FALSE
ctrl$cma$active = 1
ctrl$options$TolFun = 1e-12
ctrl$options$DispModulo=100
ctrl$options$Restarts = 0
ctrl$options$MaxIter = 3000
ctrl$options$TolUpX = 5
ctrl$options$PopSize = 300
test1 = cmaes(rnorm(10), fun = parma:::fsphere, 
lower = -Inf, upper = Inf, insigma = 1, ctrl = ctrl)
test2 = cmaes(rnorm(10), fun = parma:::frosenbrock, 
lower = -Inf, upper = Inf, insigma = 1, ctrl = ctrl)

ctrl = cmaes.control()
ctrl$options$StopOnWarnings = FALSE
ctrl$cma$active = 1
ctrl$options$TolFun = 1e-12
ctrl$options$DispModulo=100
ctrl$options$Restarts = 0
ctrl$options$MaxIter = 3000
ctrl$options$PopSize = 400
test3 = cmaes(rep(1, 10), fun = parma:::frastrigin10, 
lower = -50, upper = 50, insigma = 1, ctrl = ctrl)

## End(Not run)

parma documentation built on May 2, 2019, 5:53 p.m.